TY - JOUR
T1 - SIMPLE SOLUTION TO THE SINGULAR LINEAR MINIMUM-VARIANCE ESTIMATION PROBLEM.
AU - Shaked, U.
AU - Soroka, E.
PY - 1987
Y1 - 1987
N2 - A simple expression is obtained for the transfer function matrix of the minimum-variance estimator for the states of a linear, stationary, continuous-time right-invertible system whose output is measured perfectly. Using the s-domain approach, it is shown that the optimal estimator first finds the driving noise input that, when applied on the minimum-phase image model of the system, achieves an output spectrum which is identical to the measurement spectrum. This input is then applied on a state-space representation of the minimum-phase image to produce the optimal estimate.
AB - A simple expression is obtained for the transfer function matrix of the minimum-variance estimator for the states of a linear, stationary, continuous-time right-invertible system whose output is measured perfectly. Using the s-domain approach, it is shown that the optimal estimator first finds the driving noise input that, when applied on the minimum-phase image model of the system, achieves an output spectrum which is identical to the measurement spectrum. This input is then applied on a state-space representation of the minimum-phase image to produce the optimal estimate.
UR - http://www.scopus.com/inward/record.url?scp=0023139969&partnerID=8YFLogxK
U2 - 10.1109/tac.1987.1104436
DO - 10.1109/tac.1987.1104436
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AN - SCOPUS:0023139969
SN - 0018-9286
VL - AC-32
SP - 81
EP - 84
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
IS - 1
ER -